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Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index

Hurd, Matthew; Salmon, Mark H.; Schleicher, Christoph - 2005

Persistent link: https://www.econbiz.de/10002979536

Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index

Hurd, Matthew (contributor); Salmon, Mark H. (contributor); … - 2007

"We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...

Persistent link: https://www.econbiz.de/10003595871

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Hurd, Matthew - 2008

We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...

Persistent link: https://www.econbiz.de/10012727482